Muller played songs from his repertoire, such as "Almost" - a "Pete Muller classic," according to a PDT staffer.

The band was also big on covers, such as Gotye's "Somebody that I used to know" and The Rolling Stones' "Wild Horses."

The crowd included Two Sigma cofounder John Overdeck, staff from PDT Partners and Goldman Sachs, Muller's family and Muller's PR contact, Jonathan Gasthalter.

The concert kicks off Muller's summer tour - he's planning five gigs and four countries in 12 days later this month - with stops at the Montreux Jazz Festival in Switzerland, the Jazz Open in Stuttgart, Germany, and Un Lago de Conciertos in Valencia, Spain.

A photo of Pete Muller on stage, by Chris Morgan from Dark Energy Media
Courtesy of Pete Muller
Muller, a quirky math whiz who founded the PDT unit at Morgan Stanley in the 1990s, has said that he's always loved music but had to give it up in the early part of his career.

By 1999, he needed a break and went on sabbatical, traveling the world and playing music in the New York subway. Music has played a major role in balancing his career ever since. He eventually went back to PDT and spun out the unit in 2012.

The July 6 event raised $16,000 for MoMath, the National Museum of Mathematics.